Willis Trading Group, LLC

Standard Program

Program Description: The objective of WTG's Trading Approach is to achieve substantial capital appreciation through speculative trading in futures interest contracts, while taking reasonable steps to reduce volatility and protect capital. No assurance can be given that this objective will be met, and an investment in a Managed Account pursuant to the Trading Approach should only be considered by investors that can assume the significant risk associated with futures interest contract trading. The following is a description of the Trading Approach currently employed by WTG. The exact nature of the Trading Approach is proprietary and confidential. The subsequent description is of necessity general and is not intended to be exhaustive. WTG's Trading Approach consists of multiple systematic short-term trend-following models designed by Thomas R. Willis and Thomas C. Willis that intend to capitalize on market retracements. The Trading Approach is diversified across markets, time frames and holding periods, and trades in approximately 60 different global futures markets including, but not limited to, financials, currencies, grains, metals, softs, energies, meats and stock indices. Although there is no predetermined level of portfolio diversification, due to the short-term nature of the Trading Approach, the Trading Advisor does not expect to hold positions in more then 7 markets at any given time (although in certain instances aggregate positions may be larger or smaller). The Trading Approach uses a variety of methodologies and incorporates various aspects of strength-weakness/sector relationship trading. In addition, the Trading Approach uses a range of different time frames for analyzing data (e.g. daily, weekly, and monthly), and has varying holding periods ranging from approximately 4 to 12 days (although in certain instances such holding periods may be longer). In general, a systematic trading program such as WTG's relies on technical analysis and is not based on anticipated supply and demand, macro-economics or the study of political policy. Rather, technical analysis is based on the theory that the study of the markets themselves provide a means of anticipating the external factors that affect the supply and demand for a particular commodity, currency or financial instrument in order to predict future prices. Technical analysis operates on the theory that market prices at any given point in time reflect all known factors affecting supply and demand for a particular commodity, currency or financial instrument. As such, a systematic trader such as WTG relies primarily on trading programs or models that generate trading signals. In certain instances, however, The Trading Advisor may from time to time use a certain degree of discretion in executing trades where trader expertise plays a role in timing of orders or analyzing market action. In addition, in periods of market disruption or extreme volatility, The Trading Advisor may rely on its judgment and discretion in determining whether to follow trading instructions as generated by the Trading Approach. However, in the unlikely event that such circumstances occur, the Trading Advisor expects that it would reduce market exposure by cutting trading size proportionally across all Systems in the Trading Approach rather than making individualized, discretionary decisions regarding particular trading instructions generated by the Trading Approach. WTG places a heavy emphasis on risk control. In general, risk management is a function of market volatility and correlation. For example, a 100,000 barrel crude oil position would be more risky if prices are moving in a 5% daily range than if prices are moving in a 1% daily range. Similarly, a portfolio would be more risky if concentrated in a few highly correlated markets rather than diversified across a number of less correlated markets. The systems which comprise WTG's Trading Approach are designed to measure and standardize risk across markets by adjusting trading size as market risk increases and decreases. In addition, these systems limit risk by shortening the holding period of each trade. By reducing exposure to the market in this fashion, WTG is able to avoid adverse price action while still participating in the most predictable portion of the trend.